Victoria-Feser, Maria-Pia (2001) Robust income distribution estimation with missing data. DARP, 57. Suntory and Toyota International Centres for Economics and Related Disciplines, London School of Economics and Political Science, London, UK.
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With income distributions it is common to encounter the problem of missing data. When a parametric model is fitted to the data, the problem can be overcome by specifying the marginal distribution of the observed data. With classical methods of estimation such as the maximum likelihood (ML) an estimator of the parameters can be obtained in a straightforward manner. Unfortunately, it is well known that ML estimators are not robust estimators in the presence of contaminated data. In this paper, we propose a robust alternative to the ML estimator with truncated data, namely one based on M-estimators that we call the EMM estimator. We present an extensive simulation study where the EMM estimator based on optimal B-robust estimators (OBRE) is compared to a more conservative approach based on marginal density (MD) for truncated data, and show that the difference lies in the way the weights associated to each observation are computed. Finally, we also compare the EMM estimator based on the OBRE with the classical ML estimator when the data are contaminated, and show that contrary to the former, the latter can be seriously biased.
|Item Type:||Monograph (Discussion Paper)|
|Additional Information:||© 2001 Maria-Pia Victoria-Feser|
|Uncontrolled Keywords:||M-estimators, influence function, EM algorithm, truncated data.|
|Library of Congress subject classification:||H Social Sciences > HB Economic Theory|
|Journal of Economic Literature Classification System:||D - Microeconomics > D3 - Distribution > D31 - Personal Income, Wealth, and Their Distributions
C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods: General > C13 - Estimation
D - Microeconomics > D6 - Welfare Economics > D63 - Equity, Justice, Inequality, and Other Normative Criteria and Measurement
|Sets:||Collections > Economists Online
Research centres and groups > Suntory and Toyota International Centres for Economics and Related Disciplines (STICERD)
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